Keep trying. It failed for me about 6 times before finally working.
I had the cellular data and wi-fi switched off on phone. Turned wi-fi off on laptop, only using ethernet for internet.
I clicked update and then immediately unplugged the ethernet cable. About 20 or 30 seconds later I got an update notice in Zune and on my phone at the same time.
I plugged the ethernet back in, clicked update, and I'm on my way. Got 7403 first, now on step 5 of 7720!
I received 7392 earlier today through the regular process.